Multiple exogenous variables under arima

[Philip Worrall]

Hello,


I'm analysing a time series using the statsmodels package and specifically the arima class. Just wondered if it is currently possible to specify more than one exogenous variable (for example oil price and temperature)  statsmodels.tsa.arima_model.ARIMA(endog, order, exog=None, dates=None, freq=None, missing='none'). I have tried passing a list of list of values but i receive an error about matrices being different sizes. If i pass a single list it works as expected.

http://statsmodels.sourceforge.net/0.6.0/generated/statsmodels.tsa.arima_model.ARIMA.html

Thanks Phil

[josef...@gmail.com]

a list of list has the wrong shape: when it gets converted to a numpy array with np.asarray then the observations will be in columns and variables in rows which is the transpose of what we need or use.

try 

exog = np.column_stack(list_of_lists)

to convert to a numpy array.

I hope that works.

Josef

 

Thanks Phil

[Philip Worrall]

Thanks Joesf, worked perfectly